Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0595
Annualized Std Dev 0.2460
Annualized Sharpe (Rf=0%) 0.2418

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1241
Quartile 1 -0.0072
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0084
Maximum 0.1406
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0155
Skewness -0.0207
Kurtosis 6.5029

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0108
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6072
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0358
Modified VaR (95%) -0.0232
Modified ES (95%) -0.0361
From Trough To Depth Length To Trough Recovery
2008-05-21 2009-03-02 2013-12-27 -0.6072 1412 196 1216
1999-05-10 2002-10-09 2004-11-04 -0.4103 1382 860 522
2018-01-29 2020-03-23 2020-09-01 -0.4016 654 541 113
2015-02-25 2016-01-25 2017-01-24 -0.2843 483 231 252
2005-03-07 2005-10-13 2006-03-15 -0.1798 259 155 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 -1.2 1.1 -1.2 4.3 1 0.1 1.3 0.5 -1 0.3 1.9 8.1
2000 1.8 -1 -0.1 -0.1 0.3 -2.5 0.1 -1 2.5 -0.8 3.3 -1.9 0.4
2001 0.5 0.1 -0.8 1.1 0.8 0.4 -0.5 0.9 0.3 2.2 1.3 -1.2 5.2
2002 -0.5 1.5 -0.5 0.1 0.6 -0.6 -0.6 1.1 6.2 2.1 2.2 0.4 12.5
2003 1.1 0.2 1.1 -0.7 1.5 -0.2 -1 0.1 1.7 -0.2 3 -0.2 6.5
2004 1.2 1.6 0.7 -0.6 -0.2 -2 -0.2 0.4 0.5 0.1 0.9 -0.2 2.3
2005 0.8 0.1 -0.3 2.5 1.5 -0.1 -0.5 0.3 0.8 0.3 2 -0.9 6.7
2006 0.3 1.5 -0.9 0.7 1.1 0.5 -0.8 1.1 -0.9 -0.8 -0.8 -0.8 0.1
2007 1.2 -1 0.2 -0.4 1.4 0.6 0.6 0.9 1.9 -3.5 0.9 -0.6 2.1
2008 2.4 -3.2 3.2 -0.7 0.1 -1.8 -1.8 -0.7 -1.6 1.1 -8.5 1.7 -9.8
2009 -3.9 -1 2 0.2 3.1 0.2 1 -3 -3.9 -3.6 1.9 -1.4 -8.3
2010 4 1.5 1.7 -1.8 -3.2 -0.6 0.6 3 1.3 -0.1 2.7 -0.1 9.4
2011 2.7 -2.5 0.4 0.4 -3.1 0.9 -0.3 -1.4 -3.7 -2.7 -0.6 -0.1 -9.7
2012 1 1.1 0.4 0.6 -2.1 3 0 1 0.3 1.9 0.1 2 9.5
2013 1.2 0.1 -0.9 -1.8 -1.6 0.6 0.7 -0.2 0.4 -0.2 -0.1 0.3 -1.3
2014 -0.7 0.3 0.5 -0.6 0 0.2 0.1 0.2 -2.4 1.9 -1 -1 -2.5
2015 -0.4 -0.2 0.3 1.6 0 0.6 -0.3 -3 1.1 0.1 0.7 -0.9 -0.4
2016 0.4 2.6 1 -0.6 0.1 0 -0.6 0.4 0.7 -0.6 0 -0.7 2.9
2017 0.5 2 0 0.1 1.2 0.5 0.1 0.7 0 0.5 -0.8 -0.2 4.5
2018 -1.4 -1 1.9 -0.1 1.5 0.3 -1 -0.3 1 2.8 0.3 0.8 4.9
2019 0.3 -0.1 1.5 -1.8 -1.1 0.8 -0.6 0.7 -2.4 1.4 -0.4 0.7 -1
2020 -2.2 -1.1 -4.5 -2.1 0.7 0.2 0.1 2.8 -1.4 -0.1 1.1 0.4 -6.1
2021 1.2 2.5 -0.5 NA NA NA NA NA NA NA NA NA 3.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart